I've done both. It's a nicer user experience to be able to bookmark, and I've found with the pages I've done, the page changes are nearly seamless. I figured out a simple way to pull off the multiple page functionality.
Program your entire site in one flash file. Create your HTML file and duplicate it for each page, and name them accordingly. Then in frame 1 of your movie, have a URL detection script that changes your flash content based on what "page" your on.
---ex: if
http://www.yourdomain.com/contact.html, go to my contact content
Then have each of your links call up the actual url, which will automatically load your flash file with the appropriate page showing.
-Sam
